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Exercise 8 - Market Making

As discussed in the lecture, the market maker faces a non-trivial control problem. Its job is to provide liquidity to the market without going bankrupt. It has privileged access to the market, as the normal traders are not allowed to place limit orders, and thus always have to trade with a market maker. However, there might be multiple market makers competing with each other.

Task

Try to make the class MarketMaking pass the unit test MarketMakingTest. The grading will be based on the following criteria:

  • How many tests does your class pass?
  • Is the code well-structured and non-obvious ideas documented? (See also the slides on documentation and clean code.)
  • Did you think on your own or did you just copy things from me?

Even if your idea does not work, you can still get a good score just by structuring and documenting your code well (descriptive method and variable names, short methods, comments that explain the "why").

Deliverables and deadline

The only deliverable this time is the code. No need to write a journal as long as your code is meaningfully commented.

The deadline for submitting the lab journal to github is 2017-11-16 at 24:00.